Dependency structure of major commodity indices with BIST100 and WIG20: Effects of global and geopolitical risks

Investors and policymakers in financial markets face a variety of risks. Two of the most significant risks investors face are geopolitical and global risks. These risks lead to volatility in financial markets, and these fluctuations can spread from one market to another. The aim of this study is to analyze the dynamic volatility connectivity between major commodity indices, the VIX index, and the stock market index against geopolitical and global risks that are thought to have a significant impact on two stock market indices (BIST 100 and WIG 20) from 2014 to 2025. Using the TVP-VAR method in the analysis of dynamic connectivity, the study included the major commodity indices DJCIGR, DJCICL, DJCING, and DJCIGC in the model. In terms of the prominent variables, a general volatility effect was detected between the WIG 20 index and the Other Six Variables during global and geopolitical crisis periods in the years studied. The volatility correlation between DJCICL, VIX, and WIG20 for the BIST 100 index is noteworthy. Findings indicate that, in the context of the commodity variables considered, the WIG20 index is more sensitive to global and geopolitical risks than the BIST100 index. This is similar to the correlation between these stock market indices and the VIX. Furthermore, the volatility correlation between the BIST100 and WIG20 indices has been observed to reach high levels during periods of increased global and geopolitical risks.